Price and volume effects associated with changes in the Dow Jones Averages

Polonchek, John A.; Krehbiel, Tim

doi:10.1016/1062-9769(94)90016-7

Cited by 15 publications

(18 citation statements)

References 17 publications

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“…However, although much stronger, our results are in line with the reported asymmetry of Polonchek and Krehbiel (1994) for the DJIA, as we discussed in the literature section, and support the attention hypothesis, as also can be seen in Table 1. Another explanation could be that, according to 'street wisdom,' traders would rather meet customer sales by purchasing shares and holding them in inventory than meet their purchases by taking short positions, as suggested by Chan and Lakonishok (1993).…”

Section: Price Effectsupporting

confidence: 95%

“…An examination of changes to the Dow Jones Industrial Average (DJIA) and the less well-known Dow Jones Transportation Average (DJTA) leads Polonchek and Krehbiel (1994) to support the attention hypothesis. Neither is a likely candidate for index trading.…”

Section: Attention Hypothesismentioning

confidence: 80%

“…The S&P 500 was the first to attract most attention (e.g., Harris & Gurel, 1986;Jain, 1987;Pruitt & Wei, 1989;Shleifer, 1986). More recently, other indices, such as the Dow Jones (Beneish & Gardner, 1995;Polonchek & Krehbiel, 1994), the Canadian TSE300 (Chung & Kryzanowski, 1998), the Italian MIB30 (Barontini & Rigamonti, 2000), the German DAX100 (Deininger, Kaserer, & Roos, 2000), and the Japanese Nikkei 500 (Liu, 2000), have been examined. To date, six hypotheses have been offered to explain the effect of index revisions on stock prices.…”

Section: Introductionmentioning

confidence: 97%

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The index revision party

Doeswijk¹

2005

International Review of Financial Analysis

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Section: Price Effectsupporting

confidence: 95%

Section: Attention Hypothesismentioning

confidence: 80%

Section: Introductionmentioning

confidence: 97%

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The index revision party

Doeswijk¹

2005

International Review of Financial Analysis

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“…Using two Dow Jones indexes that are not subject to active indexing, Polonchek and Krehbiel (1994) examine the market segmentation hypothesis. Their event study shows significant (permanent) increase in share prices for additions to these indices.…”

Section: Information Contentmentioning

confidence: 99%

Changes in trading volume and return volatility associated with S&P 500 index additions and deletions

Lin¹

2010

Research in Finance

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“…There are also some institutes, which could help investors find better investment strategies. For example Soenen & Johnson (2003) used price and transaction level or in another study, S&P indicators and the level of firms that are upper and downer than this ranking was surveyed (Polonchek & Krehbiel, 1994).…”

Section: Introductionmentioning

confidence: 99%

Developing a hybrid multi-criteria model for investment in stock exchange

Fazli¹,

Jafari²

2012

MSL

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One of the main challenges in Stock Market is to choose an appropriate combinations of various assets. The aim of this study is to propose a hybrid method, which is able to survey one problem with some criteria that it is very good for investment problem. In this study, we use a hybrid multiple criteria decision-making (MCDM) model, which shows the dependent relationships among criteria with DEMATEL method to build a relations-structure among criteria. We then use Analytical Network Process (ANP) to determine the relative weights of each criterion with dependence and feedback, and the VIKOR method is implemented to rank and select the best alternatives for investment. This study is in stock exchange in Iran to select the best stocks and the data are gathered through the years (2006)(2007)(2008)(2009)(2010). There are a lot of methods to rank and select of firms that most of the methods just do one, ranking or selecting; but the used method in this study not only ranks the firms but also determines which firms (stocks) are best for investment, so that in this study 2 of 50 firms are proposed for investment.

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Price and volume effects associated with changes in the Dow Jones Averages

Cited by 15 publications

References 17 publications

The index revision party

The index revision party

Changes in trading volume and return volatility associated with S&P 500 index additions and deletions

Developing a hybrid multi-criteria model for investment in stock exchange

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